Efficient pricing of swing options in Lévy-driven models

DOI10.1080/14697688.2012.717708zbMath1281.91167OpenAlexW2039378239MaRDI QIDQ5397406

Oleg Kudryavtsev, Antonino Zanette

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.717708

zbMATH Keywords

numerical methodoption pricingAmerican optionsfinite difference methodsWiener-Hopf factorizationenergy derivativesswing options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes

Cites Work

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• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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